The Asymmetry of the Price Impact of Block Trades and the Bid-Ask Spread. Evidence from the London Stock Exchange

Andros Gregoriou ()

No 76, Money Macro and Finance (MMF) Research Group Conference 2006 from Money Macro and Finance Research Group

Abstract: In this paper we examine the price impact of block trades for FTSE 100 firms over the time period 1998-2004. Resembling previous research we find evidence of an asymmetric price impact between block purchases and sales. We suggest that bid-ask bias may be a new conjecture to the asymmetry in the differences in buyer and seller initiated trades.

Keywords: Block Trades; Bid-Ask Bias; Asymmetry; Market Microstructure (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2007-02-02
New Economics Papers: this item is included in nep-fmk and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:mmf:mmfc06:76

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